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Trades, Quotes and Prices

Financial Markets Under the Microscope

Julius Bonart, Jonathan Donier, Martin Gould, Jean-Philippe Bouchaud

Cambridge University Press
Publication date : 2018-03-22

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The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.

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About the book

Author

Julius Bonart , Jonathan Donier , Martin Gould , Jean-Philippe Bouchaud

Imprint

Cambridge University Press

Collection

n.c

Publication date

2018-03-22

Pages

n.c

Print ISBN

9781107156050

Language

English

Ebook informations

EAN PDF

9781108639064

Price

£77.02

Copy count 0

Print count 0

File size 14633 Ko

Informations accessibility

EAN EPUB

9781316998885

Price

£77.02

Copy count 0

Print count 0

File size 11295 Ko

Informations accessibility

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About author(s)

Julius Bonart

Jonathan Donier

Martin Gould

Jean-Philippe Bouchaud

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